Trend, value, quality, carry, and volatility... Strength is made perfect in weakness. See the pinned tweet for compound return generators.
46 subscribers
2/ Asset classes have fat tails, and most have negative skewness.
2/ #1. Fiction: Factors are Data-Mined with No Good Economic Story
2/ "The model's four terms describe different life stages for an individual who marries during the sample period. The intercept reflects the average life satisfaction of individuals in the baseline period [all noncohabiting years that are at least one year before marriage]." 
2/ "The valuation gap between cheap and expensive stocks remains extremely wide. This signals the potential for attractive returns going forward." 
2/ Part 1: Basic directional strategies
2/ "The broadly similar pattern of adverse health and well-being reported as new-onset at 6- and 12 months among test-positives and test-negatives highlights the non-specific nature of these symptoms and suggests that multiple aetiologies may be responsible." 
2/ Do you hedge out market beta in order to make the portfolio more risk balanced?
2/ "Study 1 shows that less hedonic adaptation is reported in response to activity changes than to circumstantial changes." 
2/ "After controlling for age, gender, and population size, greater neighborhood socioeconomic status (SES) predicted greater desires for material consumption, more impulsive buying, and fewer savings behaviors, while individual SES showed the reverse pattern." 
2/ " This phenomenon is robust to including out-of-the-money options or delta-hedging the returns.
2/ "This result is robust to the length of the formation period and is apparent in a wide variety of subsamples.
2/ "Holding and continuously rolling one-month at-the-money S&P 500 put options is costly but is the most reliable of the candidate hedge strategies considered." 
2/ "From its inception in January 2000 to September 2022, the SG Trend Index achieved higher total returns and slightly higher risk-adjusted returns than the traditional Global 60/40 (Sharpe ratios of 0.4 versus 0.3 for the SG Trend Index and 60/40, respectively)." 
2/ "Because low volatility and past accounting profitability are persistent characteristics, strategies based on them are highly scalable, including in the mid-cap range." 
